Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0832 |
| Annualized Std Dev | 0.2481 |
| Annualized Sharpe (Rf=0%) | -0.3354 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3478.0000 |
| NAs | 1.0000 |
| Minimum | -0.1205 |
| Quartile 1 | -0.0060 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0066 |
| Maximum | 0.2189 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0002 |
| Stdev | 0.0156 |
| Skewness | 0.0993 |
| Kurtosis | 20.6725 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0131 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.8086 |
| Historical VaR (95%) | -0.0220 |
| Historical ES (95%) | -0.0398 |
| Modified VaR (95%) | -0.0190 |
| Modified ES (95%) | -0.0190 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-31 | 2020-03-18 | NA | -0.8086 | 3477 | 3223 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0 | 0 | 0.8 | 1.5 | 2.4 | -0.9 | 0.4 | 2.2 | 6.4 |
| 2008 | 1.1 | 0.1 | 3.4 | 0.9 | 0.4 | -0.3 | 2.8 | 0.2 | 2.8 | 4.2 | -6.7 | 3.3 | 12.6 |
| 2009 | 0.7 | -4.4 | 3 | 1.5 | 3.1 | 0.4 | 4.4 | -1 | -1.9 | -5.8 | 1.2 | -1 | -0.4 |
| 2010 | -0.6 | 0.5 | 0.4 | -1.1 | -1.7 | -1.8 | 2.3 | 3.2 | 1.3 | 0.2 | 1 | 1.6 | 5.5 |
| 2011 | 1.6 | -0.3 | 0.5 | 0.6 | -1.3 | 1.6 | 1.4 | -0.9 | -2.7 | -2.4 | -0.4 | 1.6 | -0.9 |
| 2012 | 1.7 | 0.6 | 1 | 0.4 | -2.3 | 2.9 | 0.8 | 1 | 0.5 | 1.3 | -0.1 | 0.7 | 8.8 |
| 2013 | 0.9 | -0.3 | 0 | -0.5 | -0.9 | 0.8 | 1.2 | -0.8 | 1.6 | -0.4 | 0.6 | 0.6 | 2.9 |
| 2014 | -1.4 | 0.8 | 1.5 | 0.6 | 0.4 | 1.2 | -1.1 | -0.7 | -0.9 | 1.5 | -1.1 | -0.7 | 0 |
| 2015 | -2.2 | 0.8 | 0.3 | 0.9 | 0.4 | 0.5 | 0.4 | -0.5 | 0.5 | 0.6 | 0.6 | 0.8 | 3.4 |
| 2016 | 0.5 | 1.4 | -0.3 | 0.2 | -0.2 | -0.3 | -0.2 | 0.3 | 0.5 | -0.9 | 0.2 | 1.8 | 3.1 |
| 2017 | 0.9 | 0.7 | 0.2 | 0.7 | 0.6 | 0 | 0.2 | 0.2 | 0.8 | 0 | 0.2 | 0.8 | 5.2 |
| 2018 | 0 | -1.4 | 1.3 | 0 | 0.5 | 0.2 | -0.3 | -0.7 | -0.3 | 0.8 | -0.2 | 0.6 | 0.4 |
| 2019 | 0.4 | 0.4 | 0.7 | -0.2 | -0.7 | -0.4 | -0.4 | 0.7 | -0.4 | 0.4 | 0.4 | 0.9 | 1.8 |
| 2020 | -1.7 | -3.4 | -2.7 | -0.8 | 1.8 | 0.6 | 0.4 | 1.6 | 0.2 | -1.4 | 1.2 | -0.7 | -4.9 |
| 2021 | -0.3 | 1.4 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-25 20 SPY 152. 0.0042 -0.0061 0.0136 0.0449 0.202 0.376 0.378 GLD 64.9 0.00290 -0.0089
2 2007-05-29 20 SPY 152. 0.0036 -0.002 0.0181 0.0913 0.192 0.361 0.401 GLD 65.1 0.002 -0.0091
3 2007-05-30 20.1 SPY 153. 0.0081 0.007 0.035 0.0891 0.196 0.367 0.420 GLD 64.7 -0.0054 -0.0077
4 2007-05-31 20.0 SPY 153. -0.001 0.00580 0.0313 0.0912 0.216 0.358 0.429 GLD 65.5 0.0127 0
5 2007-06-01 20 SPY 154. 0.005 0.02 0.0304 0.111 0.208 0.365 0.44 GLD 66.4 0.0137 0.0261
6 2007-06-04 20 SPY 154. 0.0001 0.0159 0.0249 0.122 0.197 0.367 0.437 GLD 66.5 0.0015 0.0246
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
